Romuald ELIE

 
 

Upcoming event


Thematic cycle on robust management in finance , October 2013 - June 2014



Preprints


- On the expectation of normalized Brownian functionals up to first hitting times , with M. Rosenbaum & M. Yor


- Approximate hedging for non linear transaction costs on the volume of traded assets, with E. Lepinette



Publications


- BSDE with weak terminal condition , with B. Bouchard & A. Reveillac, Annals of Probability, to appear (2014)


- When terminal facelift enforces Delta constraints , with J.-F. Chassagneux & I. Kharroubi, Finance and Stochastics, to appear (2014).


- BSDE representations for optimal switching problems with controlled volatility, with I. Kharroubi

Stochastics and Dynamics, to appear (2014).


- A simple constructive approach to quadratic BSDEs with or without delay, with P. Briand

Stochastic Processes and Applications, 123(8) pp 2921-2939 (2013).


- Adding constraints to BSDEs with Jumps: an alternative to multidimensional reflections, with I. Kharroubi,

ESAIM Probability and Statistics, to appear (2013).


- Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift, with G. Espinosa,

Mathematical Finance, to appear (2012).


- Discrete-time Approximation of Multidimensional BSDEs with oblique reflections, with J.-F. Chassagneux & I. Kharroubi,

Annals of Applied Probability, 22(3), pp 971-1007 (2012).


- A note on utility based pricing and asymptotic risk diversification, with B. Bouchard & L. Moreau, Mathematics and Financial Economics, 6-1 pp 59-74 (2012)


- A note on existence and uniqueness for solutions of multidimensional reflected BSDEs, with J.-F. Chassagneux & I. Kharroubi,

Electronic Communications in Probability, 16, pp 120–128 (2011)


- Probabilistic representation and approximation for coupled systems of variational inequalities, with I. Kharroubi,

Statistics and Probability letters, 80 (17-18) pp 1388-1396 (2010)


- Optimal control under stochastic target constraints, with B. Bouchard & C. Imbert, SIAM Journal on Control and Optimization 48-5 pp. 3501-3531 (2010)


- Stochastic target problems with control loss, with B. Bouchard  & N. Touzi

SIAM Journal on Control and Optimization 48-5 pp. 3123-3150 (2009)


- Double Kernel estimation of sensitivities,

Journal of Applied probability, 46-3 (2009)


  1. -Discrete-time Approximation of BSDEs and Probabilistic schemes for Fully Nonlinear PDEs, with B. Bouchard & N. Touzi,

Radon Series on Computational and Applied Mathematics (2009)


  1. -Finite time strategy under drawdown constraint: a viscosity approach,

Applied Mathematics and Optimization, 58-3 (2008), pp. 411-431


  1. -Optimal lifetime consumption-investment strategy under drawdown constraint, with N. Touzi, Finance and Stochastics, 12-3 (2008), pp. 299-330


- Discrete time approximation of decoupled FBSDE with jumps,

   with B. Bouchard, Stochastic Processes and Applications, 118-1 (2008), 53-75


- Kernel estimation of Greek weights by parameter randomization,

with J.-D. Fermanian & N. Touzi, Annals of Applied Probability 17-4 (2007)

 

ACADEMIC POsition





Professor

Université Paris-Est Marne-la-Vallée


Affiliated to:

LAMA


2011-2015 research grant:

ANR LIQUIRISK


Director of the

Master 2 MA Finance


Research interests




Mathematical Finance

Numerical Probability

Stochastic Control

Backward SDEs



        LECTURE NOTES





Stochastic Calculus 

Probability reminder

Math. Finance exercises



                  SEMINARS




Bachelier seminar

Stochastics & Finance

Seminaire FIME



                  contact




romuald.elie@univ-mlv.fr